Can gold be used as a hedge against the risks of Sharia-compliant securities? Application for Islamic portfolio management
In this paper, we investigate whether gold hedges Sharia-compliant stocks and Sukuk during the period from September 2005 to October 2017. The inference is taken by using both the DCC-GARCH model and the wavelet coherence analysis. On the whole, our finding suggests that gold is not effective in hed...
Main Authors: | Awartani, B. (Author), Hassan, A. (Author), Maghyereh, A. (Author) |
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Format: | Article |
Language: | English |
Published: |
Palgrave Macmillan Ltd.
2018
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Subjects: | |
Online Access: | View Fulltext in Publisher |
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